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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mark Joshi
Copyright (C) 2006 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_upper_bound_engine_hpp
#define quantlib_upper_bound_engine_hpp
#include <ql/models/marketmodels/products/multiproductcomposite.hpp>
#include <ql/methods/montecarlo/exercisestrategy.hpp>
#include <ql/math/statistics/sequencestatistics.hpp>
#include <ql/utilities/clone.hpp>
#include <utility>
#include <valarray>
namespace QuantLib {
class MarketModelEvolver;
class MarketModelDiscounter;
class MarketModelMultiProduct;
class MarketModelExerciseValue;
//! Market-model %engine for upper-bound estimation
/*! \pre product and hedge must have the same rate times
and exercise times
*/
class UpperBoundEngine {
public:
UpperBoundEngine(
const boost::shared_ptr<MarketModelEvolver>& evolver,
const std::vector<boost::shared_ptr<MarketModelEvolver> >&
innerEvolvers,
const MarketModelMultiProduct& underlying,
const MarketModelExerciseValue& rebate,
const MarketModelMultiProduct& hedge,
const MarketModelExerciseValue& hedgeRebate,
const ExerciseStrategy<CurveState>& hedgeStrategy,
Real initialNumeraireValue);
void multiplePathValues(Statistics& stats,
Size outerPaths,
Size innerPaths);
std::pair<Real,Real> singlePathValue(Size innerPaths);
private:
Real collectCashFlows(Size currentStep,
Real principalInNumerairePortfolio,
Size beginProduct,
Size endProduct) const;
boost::shared_ptr<MarketModelEvolver> evolver_;
std::vector<boost::shared_ptr<MarketModelEvolver> > innerEvolvers_;
MultiProductComposite composite_;
Real initialNumeraireValue_;
Size underlyingSize_, rebateSize_, hedgeSize_, hedgeRebateSize_;
Size underlyingOffset_, rebateOffset_, hedgeOffset_, hedgeRebateOffset_;
Size numberOfProducts_;
Size numberOfSteps_;
std::valarray<bool> isExerciseTime_;
// workspace
std::vector<Size> numberCashFlowsThisStep_;
std::vector<std::vector<MarketModelMultiProduct::CashFlow> >
cashFlowsGenerated_;
std::vector<MarketModelDiscounter> discounters_;
};
}
#endif
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